Documentation

This is machine translation

Translated by Microsoft
Mouse over text to see original. Click the button below to return to the English verison of the page.

tbillval01

Value of one basis point

Syntax

[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)

Arguments

Settle

Settlement date of Treasury bills, specified as a serial date number, date character vector, or datetime array. Settle must be earlier than Maturity.

Maturity

Maturity date of Treasury bills, specified as a serial date number, date character vector, or datetime array.

Description

[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity) calculates the value of one basis point of $100 Treasury bill face value on the discount rate, money-market yield, or bond-equivalent yield.

Val01Disc is the value of one basis point of discount rate.

Val01MMY is the value of one basis point of money-market yield.

Val01BEY is the value of one basis point of bond-equivalent yield.

All outputs are of size equal to the number of Treasury bills (NTBILLS) by 1.

Examples

collapse all

This example shows how to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = '01-Mar-03';
Maturity = '30-June-03';
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc =

    0.0034


Val01MMY =

    0.0034


Val01BEY =

    0.0033

This example shows how to use datetime inputs to compute the value of one basis point, given a Treasury bill with the following settle and maturity dates.

Settle = datetime('01-Mar-03','Locale','en_US');
Maturity = datetime('30-June-03','Locale','en_US');
[Val01Disc, Val01MMY, Val01BEY] = tbillval01(Settle, Maturity)
Val01Disc =

    0.0034


Val01MMY =

    0.0034


Val01BEY =

    0.0033

Related Examples

References

This function adheres to SIA Fixed Income Securities Formulas for Price, Yield, and Accrued Interest. Vol. 1, 3rd edition, pp 108–115, on zero coupon instrument pricing.

Introduced before R2006a

Was this topic helpful?